Quantitative Analytics Senior (Credit Risk Modeling)

Freddie Mac•McLean, VA

2d•$126,000 - $190,000

About The Position

Freddie Mac’s Single-Family Division is currently seeking a Quantitative Analytics Senior to be responsible for the development and execution of statistical models and applications in support of business and risk decisions as a member of the Credit Risk Modeling Team. Our team is responsible for the development and analytic support of credit risk models, supports the single-Family business for risk decisions. We apply econometric, machine learning and statistical modeling to understand business problems and produce credit risk forecast for the mortgage portfolio.

Requirements

PhD in Economics, Statistics, Math, Computer Science or a related quantitative field; or Master's degree with at least 3 years of related post-graduate work experience
Strong programming skills in Python, SQL, SAS and Unix
Experience with programming language such as R, VBA, Java or C++
Experience working with large data sets and relational database
Experience working with mortgage or consumer credit risk models, prepayment models and severity models
Experience with competing-risk hazard models, transition models, loss forecasting and stress testing
Experience in data science, machine learning and related technologies
Outstanding quantitative, empirical analysis, and research skills
Solid understanding of econometric models, tools and techniques
Strong programming skills

Responsibilities

Developing analytical methods and models that assess the credit risk of new and existing financial and mortgage products.
Providing innovative, detailed and practical solutions to an extensive range of fast paced and complicated problems.
Developing and validating loss forecasting models, conducting research on improvements to the existing models, and applying industry standard methodologies and techniques to meet various business needs.
Coordinating the testing through the model implementation, conducting back tests to monitor the model performance, and performing economic tests and stress tests to validate the model forecast results.
Providing modeling and analytical support to a line of business or product area, functioning as day-to-day technical specialist.
Preparing documentation for the technical analytics and rationale through the model development to comply with model oversight and support model review for approval.
Working under limited direction, independently determining and developing approach to solutions.